Statistical analysis of discrete-valued time series using categorical ARMA models

DOI10.1016/j.csda.2012.06.003zbMath1365.62348OpenAlexW1966434181MaRDI QIDQ2359464

Peter X.-K. Song, Atanu Biswas, R. Keith Freeland, Shu-Lin Zhang

Publication date: 29 June 2017

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.06.003

zbMATH Keywords

maximum likelihood estimationAICBICorder selectioncorrected AICPegram's mixing operatorrandomized conditional moment test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (5)

Some properties of multivariate INAR(1) processes ⋮ Serial dependence of NDARMA processes ⋮ Cost-sensitive estimation of ARMA models for financial asset return data ⋮ Modelling and coherent forecasting of zero-inflated count time series ⋮ Generalized Ordinary Differential Equation Models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Consistent model specification tests
• Discrete-valued ARMA processes
• Serial dependence and regression of Poisson INARMA models
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• Discrete analogues of self-decomposability and stability
• Regression theory for categorical time series
• Regression models for nonstationary categorical time series: Asymptotic estimation theory
• The Bierens test under data dependence
• Thinning operations for modeling time series of counts -- a survey
• Correlated data analysis: modeling, analytics, and applications
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
• Regression and time series model selection in small samples
• An autoregressive model for multilag Markov chains
• A Consistent Conditional Moment Test of Functional Form
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Asymptotic Theory of Integrated Conditional Moment Tests
• A family of multivariate binary distributions for simulating correlated binary variables with specified marginal means and correlations
• Generalized Autoregressive Moving Average Models
• Time series models with univariate margins in the convolution-closed infinitely divisible class
• REGRESSION MODELS FOR NON‐STATIONARY CATEGORICAL TIME SERIES

This page was built for publication: Statistical analysis of discrete-valued time series using categorical ARMA models